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Infinite dimensional portfolio representation as applied to model points selection in life insurance

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  • Enrico Ferri

Abstract

We consider the problem of seeking an optimal set of model points associated to a fixed portfolio of life insurance policies. Such an optimal set is characterized by minimizing a certain risk functional, which gauges the average discrepancy with the fixed portfolio in terms of the fluctuation of the interest rate term structure within a given time horizon. We prove a representation theorem which provides two alternative formulations of the risk functional and which may be understood in connection with the standard approaches for the portfolio immunization based on sensitivity analysis. For this purpose, a general framework concerning some techniques of stochastic integration in Banach space and Malliavin calculus is introduced. A numerical example is discussed when considering a portfolio of whole life policies.

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  • Enrico Ferri, 2018. "Infinite dimensional portfolio representation as applied to model points selection in life insurance," Papers 1808.00866, arXiv.org, revised Mar 2020.
    • Handle: RePEc:arx:papers:1808.00866
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    References listed on IDEAS

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    1. Ivar Ekeland & Erik Taflin, 2003. "A theory of bond portfolios," Papers math/0301278, arXiv.org, revised May 2005.
    2. Rene Carmona & Michael Tehranchi, 2004. "A Characterization of Hedging Portfolios for Interest Rate Contingent Claims," Papers math/0407119, arXiv.org.
    3. repec:dau:papers:123456789/6041 is not listed on IDEAS
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